Please use this identifier to cite or link to this item:
|Title:||Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market||Authors:||Fong, W.M.||Keywords:||Arbitrage
|Issue Date:||2009||Citation:||Fong, W.M. (2009). Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market. Journal of International Financial Markets, Institutions and Money 19 (4) : 712-727. ScholarBank@NUS Repository. https://doi.org/10.1016/j.intfin.2008.12.003||Abstract:||The pricing of A-shares in China has long puzzled financial economists. This paper applies recent tests of stochastic dominance (SD) to examine whether differences in the return distributions of A- and B-shares in China are consistent with market efficiency. As SD is nonparametric, market efficiency can be examined without the joint test problem arising from misspecifications in the asset pricing benchmark. Our results show A-shares have second-order dominated B-shares from 1996 to 2005. This dominance was most significant during the market segmentation period, but has continued, albeit to a lesser extent even after the B-share market was opened to local investors in 2001. Our results are robust to using residual returns from an international asset pricing model instead of raw returns. We conclude that the superior performance of A-shares cannot be attributed to risk. The results are more likely due to a return bias caused by intense speculation among retail individuals under limited arbitrage. © 2009 Elsevier B.V. All rights reserved.||Source Title:||Journal of International Financial Markets, Institutions and Money||URI:||http://scholarbank.nus.edu.sg/handle/10635/44432||ISSN:||10424431||DOI:||10.1016/j.intfin.2008.12.003|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Oct 21, 2020
checked on Oct 6, 2020
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.